Mielniczuk, Jan; Zhou, Zhou; Wu, Wei Biao - In: Journal of Time Series Analysis 30 (2009) 6, pp. 652-673
We consider nonparametric prediction problem for both short- and long-range-dependent linear processes. Asymptotic properties of local linear estimates are obtained and, for long-range-dependent processes, an interesting dichotomous phenomenon is described: the limiting distribution depends on...
